Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series
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Published By Emerald (MCB UP )

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20016-6 ◽

2005 ◽

pp. xi-xii

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Dedication

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20014-2 ◽

2005 ◽

pp. ix-x

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The creativity process

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20019-1 ◽

2005 ◽

pp. xxiii-xxv

Author(s):

Clive W.J. Granger

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Modeling the Asymmetry of Stock Movements Using Price Ranges

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20009-9 ◽

2005 ◽

pp. 231-257 ◽

Cited By ~ 22

Author(s):

Ray Y. Chou

Keyword(s):

The Asymmetry

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20015-4 ◽

2005 ◽

pp. v-vii

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A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20005-1 ◽

2005 ◽

pp. 125-151

Author(s):

Chor-yiu Sin

Keyword(s):

Multivariate Garch ◽

Conditional Mean

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Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20006-3 ◽

2005 ◽

pp. 155-181 ◽

Cited By ~ 1

Author(s):

Elena Andreou ◽

Eric Ghysels

Keyword(s):

Sampling Frequency ◽

Data Driven ◽

Asymptotic Approximations ◽

Window Length ◽

Volatility Estimation ◽

Trade Offs

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Good Ideas

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20018-x ◽

2005 ◽

pp. xix-xxii

Author(s):

Robert F. Engle

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A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20004-x ◽

2005 ◽

pp. 105-124 ◽

Cited By ~ 1

Author(s):

Dimitris N. Politis

Keyword(s):

Heavy Tailed Distribution ◽

Heavy Tailed

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A Flexible Dynamic Correlation Model

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20001-4 ◽

2005 ◽

pp. 3-31 ◽

Cited By ~ 7

Author(s):

Dirk Baur

Keyword(s):

Correlation Model ◽

Dynamic Correlation

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series
Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Emerald (MCB UP )

List Of Contributors

Dedication

The creativity process

Modeling the Asymmetry of Stock Movements Using Price Ranges

Contents

A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications

Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations

Good Ideas

A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

A Flexible Dynamic Correlation Model

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time SeriesLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Emerald (MCB UP )

List Of Contributors

Dedication

The creativity process

Modeling the Asymmetry of Stock Movements Using Price Ranges

Contents

A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications

Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations

Good Ideas

A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

A Flexible Dynamic Correlation Model

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series
Latest Publications